History of share prices and market efficiency of the Madrid general stock index

Massoud Metghalchi, Chien-Ping Chen and Linda A. Hayes

International Review of Financial Analysis, 2015, vol. 40, issue C, 178-184

Abstract: We apply Moving Average (MA), Relative Strength Indicator (RSI), Moving Average Convergence Divergence (MACD), and trading breakout (TBO) techniques to investigate the weak-form market efficiency of the Madrid General Stock Index, Índice General de la Bolsa de Madrid (IGBM), from 1/2/1975 to 12/31/2012. The empirical results not only strongly validate the predictive power of trading rules with robust statistical significance in all three sub-periods over the thirty-eight years, but also provide the possible strategies to outperform the buy-and-hold strategy with the consideration of transaction costs and risk. This supports the argument against weak-form market efficiency of the IGBM.

Keywords: Technical analysis; Trading indicators; Market efficiency; Buy and hold strategy (search for similar items in EconPapers)
JEL-codes: G1 G12 (search for similar items in EconPapers)
Date: 2015
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (15)

Downloads: (external link)
http://www.sciencedirect.com/science/article/pii/S1057521915000988
Full text for ScienceDirect subscribers only

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:eee:finana:v:40:y:2015:i:c:p:178-184

DOI: 10.1016/j.irfa.2015.05.016

Access Statistics for this article

International Review of Financial Analysis is currently edited by B.M. Lucey

More articles in International Review of Financial Analysis from Elsevier
Bibliographic data for series maintained by Catherine Liu ().